Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0234
Annualized Std Dev 0.0972
Annualized Sharpe (Rf=0%) 0.2410

Row

Daily Return Statistics

Close
Observations 3571.0000
NAs 1.0000
Minimum -0.0515
Quartile 1 -0.0033
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0036
Maximum 0.0512
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0003
Variance 0.0000
Stdev 0.0061
Skewness 0.0518
Kurtosis 6.9666

Downside Risk

Close
Semi Deviation 0.0043
Gain Deviation 0.0042
Loss Deviation 0.0042
Downside Deviation (MAR=210%) 0.0101
Downside Deviation (Rf=0%) 0.0043
Downside Deviation (0%) 0.0043
Maximum Drawdown 0.1940
Historical VaR (95%) -0.0092
Historical ES (95%) -0.0134
Modified VaR (95%) -0.0090
Modified ES (95%) -0.0131
From Trough To Depth Length To Trough Recovery
2020-08-05 2021-03-18 NA -0.1940 158 156 NA
2008-12-24 2009-06-10 2010-08-31 -0.1571 424 115 309
2016-07-11 2018-11-08 2019-08-12 -0.1537 778 590 188
2012-07-25 2013-09-05 2015-01-15 -0.1399 623 280 343
2010-09-01 2011-02-08 2011-08-08 -0.1225 236 111 125

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 0 -0.4 -0.1 -0.3 -0.9 0.8 -0.4 -0.1 0.2 0.2 -0.4 0.5 -0.9
2008 0.2 1.3 -1.5 -0.3 0.4 -0.3 -0.3 -0.4 0.6 -1 1.5 -1.3 -1.2
2009 0.3 -0.4 0.4 -0.6 -2.5 -0.4 1.2 -0.1 0.7 1.1 -1.1 -0.5 -1.8
2010 -0.9 -0.2 -0.5 0.7 0.1 -0.2 1.1 -1.5 -0.3 -0.4 -1.9 0.6 -3.4
2011 -0.8 -0.2 -0.2 0.4 0.9 -0.5 0.2 0.9 1 1.7 -0.4 0 2.9
2012 -0.7 -0.8 -0.9 -0.5 1.2 -0.9 -0.6 0.7 0 -0.4 0 -1 -3.8
2013 -0.8 0.2 0.1 0.4 -0.3 -0.1 -1.5 -0.1 -0.4 -0.9 -0.1 -0.6 -3.9
2014 0.4 0 -0.6 0.3 -0.1 -0.6 0.4 0 1 -0.2 0.2 -0.1 0.6
2015 1 0.2 0.6 -0.9 -0.8 -0.8 0.7 0.3 0 0.2 0.5 0.1 1
2016 -0.3 -1.1 -0.1 0 -0.1 0.6 -0.7 0 -0.4 -0.1 -0.7 0.2 -2.7
2017 -0.3 -1.1 0.2 -0.5 -0.2 -0.3 0.2 -0.6 -0.1 0 0.5 0.1 -2
2018 -0.9 0.3 0.3 -0.5 -0.6 -0.1 -0.6 0 -0.6 -0.1 0.3 0.4 -2.1
2019 -0.8 -0.7 -1.2 0 0.8 -0.3 1.2 -0.1 0.1 -0.4 -0.1 -0.6 -2.2
2020 0.8 1.7 0.9 0.3 -0.5 -0.3 0 0.8 0 -0.8 -2.4 0.2 0.6
2021 0 -0.8 0.3 NA NA NA NA NA NA NA NA NA -0.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-11 100.  SPY    142.  0.0044   0.0035   0.0052   0.0509    0.103    0.265    0.230 GLD    60.6  0.0007  -0.0165
2 2007-01-12  99.9 SPY    143.  0.0076   0.0192   0.0099   0.0602    0.108    0.265    0.234 GLD    62.2  0.0254   0.0332
3 2007-01-16 100.  SPY    143. -0.002    0.0125   0.0087   0.049     0.110    0.270    0.244 GLD    62.0 -0.0032   0.0246
4 2007-01-17 100.  SPY    143.  0.0004   0.0138   0.0081   0.0468    0.111    0.260    0.252 GLD    62.6  0.0108   0.0294
5 2007-01-18 100.  SPY    143. -0.0034   0.0071  -0.0041   0.0417    0.111    0.253    0.238 GLD    62.3 -0.0061   0.0276
6 2007-01-19  99.8 SPY    143.  0.002    0.0046   0.0034   0.047     0.117    0.250    0.266 GLD    63    0.0119   0.0391
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart